Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0199 |
| Annualized Std Dev | 0.0635 |
| Annualized Sharpe (Rf=0%) | 0.3129 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3017.0000 |
| NAs | 1.0000 |
| Minimum | -0.0434 |
| Quartile 1 | -0.0015 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0020 |
| Maximum | 0.0457 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0040 |
| Skewness | -1.0110 |
| Kurtosis | 23.4339 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0030 |
| Gain Deviation | 0.0027 |
| Loss Deviation | 0.0035 |
| Downside Deviation (MAR=210%) | 0.0091 |
| Downside Deviation (Rf=0%) | 0.0030 |
| Downside Deviation (0%) | 0.0030 |
| Maximum Drawdown | 0.1517 |
| Historical VaR (95%) | -0.0054 |
| Historical ES (95%) | -0.0097 |
| Modified VaR (95%) | -0.0057 |
| Modified ES (95%) | -0.0063 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2019-12-30 | 2020-03-23 | 2020-11-05 | -0.1517 | 217 | 58 | 159 |
| 2015-04-17 | 2016-02-11 | 2017-11-22 | -0.0811 | 658 | 208 | 450 |
| 2018-01-29 | 2018-12-27 | 2019-12-16 | -0.0781 | 475 | 231 | 244 |
| 2013-05-14 | 2013-06-24 | 2014-02-27 | -0.0720 | 200 | 29 | 171 |
| 2009-11-17 | 2010-05-20 | 2010-09-29 | -0.0693 | 218 | 127 | 91 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | -0.3 | -0.2 | 0.3 | -0.1 | 0.3 | -0.7 | -0.8 | -1.4 | 0.3 | 0.1 | -2.6 |
| 2010 | 0.6 | 0.4 | 0.7 | -0.3 | 0 | 0.4 | 0.3 | 0.3 | 0.2 | 0.3 | 0.2 | 0.3 | 3.2 |
| 2011 | 0.4 | -0.3 | 0.3 | 0.2 | -0.5 | 0.2 | 0.1 | -0.1 | -0.2 | -0.7 | 0 | 0.4 | -0.3 |
| 2012 | 0.4 | 0.1 | 0 | 0 | -0.4 | 0.3 | 0.1 | 0.3 | 0.2 | 0.5 | 0.1 | 0 | 1.6 |
| 2013 | 0 | 0.1 | -0.5 | -0.3 | 0.1 | 0.3 | 0.4 | -0.1 | 0.2 | -0.2 | -0.1 | 0.2 | 0 |
| 2014 | -0.3 | -0.2 | 0.3 | 0.1 | -0.1 | 0.4 | -0.1 | 0.2 | -0.6 | 0.5 | -0.4 | -0.2 | -0.5 |
| 2015 | -2 | -0.2 | -0.1 | 0.2 | 0.1 | 0 | 0.2 | -0.3 | 0.1 | 0.2 | 0.6 | -0.1 | -1.4 |
| 2016 | 0.1 | 0.4 | 0.1 | 0 | 0.1 | 0.2 | -0.2 | 0.2 | 0.1 | -0.3 | -0.3 | 0 | 0.2 |
| 2017 | 0.1 | 0.2 | 0 | 0.1 | 0.4 | 0.2 | 0.1 | 0 | 0.2 | 0.1 | -0.2 | -0.1 | 1.3 |
| 2018 | -0.3 | -0.4 | 0.5 | 0 | 0.2 | 0.2 | -0.2 | 0.1 | -0.1 | 0.5 | -0.1 | -0.2 | 0.2 |
| 2019 | 0 | 0.1 | 0.2 | -0.2 | -0.1 | 0.4 | -0.2 | 0.1 | -0.2 | 0.4 | -0.3 | 0 | 0.3 |
| 2020 | -0.5 | -0.2 | -1.3 | -0.5 | 0.5 | -0.3 | -0.2 | 0.2 | 0.3 | -0.3 | 0.5 | -0.1 | -2 |
| 2021 | 0.9 | 0.8 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
